Something like, "Hey I came from Arab. It's a really nice place and the people there are cool, proud of being a part of them."

Martial seems to be quite unashamed of being an Iberian provincial (X, 65):

Cum te municipem Corinthiorum
Iactes, Charmenion, negante nullo,
Cur frater tibi dicor, ex Hiberis
Et Celtis genitus Tagique civis?
An voltu similes videmur esse?                            
Tu flexa nitidus coma vagaris,
Hispanis ego contumax capillis;
Levis dropace tu cotidiano,
Hirsutis ego cruribus genisque;
Os blaesum tibi debilisque lingua est,                            
Nobis filia fortius loquetur:
Tam dispar aquilae columba non est,
Nec dorcas rigido fugax leoni.
Quare desine me vocare fratrem,
Ne te, Charmenion, vocem sororem. 

While you boast of yourself as a citizen of Corinth,
Charmenion - and nobody denies that -
Why am I called your brother, I who was born of Spaniards
and Celts and who am a citizen from the Tagus?
Do we seem similar regarding our look?
You walk around shining with your curly hair,
But I the Spaniard have defiant hair;
You are smooth from your daily pitch ointment,
I have bristly legs and cheeks;
A lisping mouth and a crippled tongue belong to you,
My daughter will speak more forcefully:
The dove is not as unlike to an eagle,
nor is the timid gazelle as unlike to a fierce lion.
Therefore stop calling me brother, Charmenion,
lest I call you sister.

I think the stereotypes invoked against the Greek and the way Martial owns what are probably regarded as typically Iberian traits make this a nice example of (very loosely defined) nationalism.

Speculation:
It also might be noteworthy that Seneca (as an influential Spaniard) supported Lucan and Martial (two Spaniards young enough to be his grandsons) - maybe he had a bit of a Spanish connection going in Rome to help talented youngsters from his homeland break into Roman society.

It is important to realize that there are many different scholars and models of nationalism. Some of these theorists overlap and complement each other, whereas others are diametrically opposed to each other. Other theories of nation fit well for certain historical cases, others not so much. For example, Benedict Anderson's Imagined Communities, which is one of the most accessible books on the theory of nationalism, has an interpretive model that fits incredibly well with Western Europe and the Americas during the eighteenth and nineteenth centuries, but falls apart when applied to other areas (his take on Russian nationalism is particularly bad) and periods like antiquity (fundamental to his thesis is the idea that mass literacy creates a mass sense of identity through homogenization via mass culture, which simply cannot be used on preliterate societies' sense of identity). So when confronting the issue of self-identity and nationalism, historians try to use the interpretive models that best fit their particular case.

For antiquity, one theorist historians sometimes use is Anthony Smith, who postulated that nations grow out of ethnies, which is a "human population with a specific territory and a sense of solidarity myths, histories and cultures, having an association with a specific territory and a sense of solidarity." The advantage of Smith's approach vis-a-vis "modernists" like Anderson is that it tends to privilege cultural evidence (language, art, dress, etc.) over sources that stress high politics and mass mobilization. The ethnie model allows for localism, but also acknowledges that a greater sense of group solidarity can form over this localism.

Ultimately though, these models are just that, models. They are taking a highly subjective set of ideas- nationalism and national identity- and attempting to render them static.

Those epithets like Philip "the Arab" were often decided by the historians of the day to distinguish between many similarly named people or they were just nicknames that stuck (Caligula's name was Gaius and that's what you'll see on his coins), not signs that a particular person took pride in coming from Arabia or Edessa. The Greeks and Romans were massive chauvinists and an Emperor would not be very popular (or last very long) if he openly and emphatically self-identified with non-Roman cultures or values (sort of like Elagabalus). This is why in the late Western Empire, no Germanic soldier ever crowned himself Emperor but instead ruled through puppets.

Romans surely were egocentric peoples for quite a time. If you view how they labeled things you can tell that naming the Mediterranean Sea, Mare Nostrum, meaning Our Sea; is quite a bold statement for some time. The word Mediterraneum didn't come into use until well after the Fall of Rome. Romans always viewed the necessity of having senators and later, Emperors, as men from Italy itself, and most preferably, men of Latin origin. It was not until Trajan that, technically, the first provincial Emperor was appointed, born in Hispania, but of Italian origin. However, things like this just meant they were proud to be where they were from, not necessarily proud of an Empire they didn't view themselves as building, but rather, as their ancestors built. It's easy to win a poor man's love with a pot of gold, and that's exactly what Roman generals would opportunistically do. Sure, while these Romans detested most foreigners (one Latin word for foreigner is Barbaricus), they weren't necessarily ecstatic towards the state. They also detested the Senate, and Emperors who they perceived as unacceptable; very often would the Praetorian Guard coup Emperors to install people who they believed were either more competent or easier to control. It was also very common for Roman legionnaires to return home to absolutely nothing, further increasing their resentment towards the 'state'. So, when generals like Julius Caesar come along, and offer their legions the plunder of Gallic property after battles, and would set them up colonies on provincial areas, such as Camulodunum, or Colchester, which transitioned from a fortress to a town made up mostly of military veterans, they viewed him as a true leader in their own eyes. Thus it brings us to answer the question, "How did the Romans so easily turn on their own Senate and install Caesar as a Dictator, such a delicate position because Romans despised Monarchs?" Because there was no central idea of Nationalism, many times in the later years of the Empire, particularly during the Crisis of the Third Century, Roman generals who gained the love of their legions would commonly have their legions proclaim them Emperor, and in one year the Empire had Six Emperors (See, Year of the Six Emperors). This was a HUGE factor in the downfall of the Western Empire. The modern name for these men are so called 'Barracks Emperors'.

What is the claim that nationalism hasn't existed as we know it today in earlier times?

If you don't have nationalism you'd have a pretty hard time convincing someone to put their life in danger for the sake of a country. Or am I missing something?

Emperor Septimius Severus was born in Leptis Magna in modern Libya, and he richly favoured the town upon his accession as Emperor. He constructed a new Forum, a basilica, and a triumphal arch when he visited in 203, and renovated the city's harbour.

Emperor Hadrian was also generous to his hometown Italica in Spain (note that evidence is a little unclear on whether he was actually born there or only Trajan, his adoptive father, was born there - either way he clearly had strong ties to the town). He named the town a colonia, which granted it special privileges within the Empire, built a temple venerating Trajan, and renovated public buildings.